Futures: ES · NQ · Gold · Crude · 10Y
With S&P 500 implied volatility (VIX) in the normal range (2026-10-15), the options market implies a typical daily S&P 500 move of about ±1.00% and a weekly move of ±2.50%. Large speculators are net short E-mini S&P futures (COT index 34/100 vs the past year) as of 2026-10-13. Next high-impact event: FOMC rate decision (Oct 27-28) on 2026-10-28.
Data as of .
PROXY NOTE: futures prices are licensed (CME). Levels below are computed from ETF proxies (SPY, QQQ, GLD, USO, TLT) end-of-day bars from Massive and are shown in ETF dollars, not futures points. Expected-move % carries over to the futures roughly; basis and roll differ.
Expected move & key levels
| Market | Vol regime | 1Y pct. | Exp. daily | Exp. weekly | Proxy close | Prior H / L | S2 · S1 · P · R1 · R2 |
|---|---|---|---|---|---|---|---|
| ES E-mini S&P 500 | VIX normal | 38 | ±1.00% (≈$7.63) | ±2.5% (≈$19.08) | SPY $763.25 | 773.25 / 760.64 | 753.10 · 758.18 · 765.71 · 770.79 · 778.32 |
| NQ E-mini Nasdaq-100 | VXN elevated | 80 | ±1.75% (≈$12.42) | ±4.0% (≈$28.39) | QQQ $709.80 | 725.96 / 707.23 | 695.60 · 702.70 · 714.33 · 721.43 · 733.06 |
| GC Gold | GVZ elevated | 13 | ±1.50% (≈$5.73) | ±3.0% (≈$11.46) | GLD $382.01 | 384.88 / 380.89 | 378.60 · 380.31 · 382.59 · 384.30 · 386.58 |
| CL WTI Crude Oil | OVX elevated | 50 | ±3.25% (≈$5.26) | ±7.0% (≈$11.32) | USO $161.76 | 162.38 / 155.80 | 153.40 · 157.58 · 159.98 · 164.16 · 166.56 |
| ZN 10-Year T-Note | TLT RV normal | — | ±0.75% (≈$0.60) | ±1.5% (≈$1.20) | TLT $80.05 | 80.31 / 79.67 | 79.37 · 79.71 · 80.01 · 80.35 · 80.64 |
Method: expected move = implied vol ÷ √252 (daily) or ÷ √52 (weekly), a one-standard-deviation band (~68% of outcomes historically, not a guarantee). Shown rounded (daily to 0.25%, weekly to 0.5%). Vol regime uses our own fixed bands, not exact index levels: VIX low <15, normal 15–20, elevated 20–30, high ≥30; VXN low <18, normal 18–25, elevated 25–35, high ≥35; GVZ low <14, normal 14–20, elevated 20–28, high ≥28; OVX low <28, normal 28–40, elevated 40–55, high ≥55; ZN (TLT realized vol) low <8, normal 8–12, elevated 12–16, high ≥16. Classic floor pivots from the proxy’s last session (P = (H+L+C)/3). Vol: Cboe daily index history CSVs (cdn.cboe.com). ZN uses realized vol because no free 10-year implied-vol index exists.
CFTC Commitments of Traders — speculator positioning
| Market | Report date | Large-spec net | Wk change | COT index (1Y) | 3Y | Commercials net | Open interest |
|---|---|---|---|---|---|---|---|
| ES E-MINI S&P 500 - CHICAGO MERCANTILE EXCHANGE | 2026-10-13 | -140,995 | +13,075 | 34 | 28 | 34,667 | 1,931,607 |
| NQ NASDAQ MINI - CHICAGO MERCANTILE EXCHANGE | 2026-10-13 | 48,523 | -9,600 | 90 | 90 | -59,827 | 279,515 |
| GC GOLD - COMMODITY EXCHANGE INC. | 2026-10-13 | 207,879 | -2,456 | 55 | 42 | -242,531 | 396,345 |
| CL WTI-PHYSICAL - NEW YORK MERCANTILE EXCHANGE | 2026-10-13 | 100,343 | +1,283 | 31 | 23 | -125,335 | 1,900,179 |
| ZN UST 10Y NOTE - CHICAGO BOARD OF TRADE | 2026-10-13 | -988,102 | -91,621 | 0 | 19 | 942,566 | 5,819,512 |
COT index = where this week’s non-commercial net position sits in its 1-year (or 3-year) range: 0 = most bearish, 100 = most bullish. Extremes can mark crowded positioning. Data as of Tuesday, released Friday. Source: CFTC Public Reporting (Legacy, futures only).
Event-day reactions (proxy ETFs, 2026)
| Market | Avg |move| all days | FOMC days | CPI days | NFP days |
|---|---|---|---|---|
| ES (SPY) | 0.62% | 0.77% n=6 · 1.3× normal | 0.47% n=10 | 0.81% n=9 · 1.3× normal |
| NQ (QQQ) | 0.98% | 0.90% n=6 | 0.81% n=10 | 1.56% n=9 · 1.6× normal |
| GC (GLD) | 1.41% | 1.91% n=6 · 1.4× normal | 1.21% n=10 | 1.49% n=9 · 1.1× normal |
| CL (USO) | 2.60% | 3.91% n=6 · 1.5× normal | 1.76% n=10 | 2.38% n=9 |
| ZN (TLT) | 0.48% | 0.60% n=6 · 1.2× normal | 0.42% n=10 | 0.37% n=9 |
Close-to-close % change of the proxy ETF on each release date found in our 206-session history. Release dates from the Federal Reserve and BLS schedules. Small sample sizes; history extends as the daily backfill grows.
Macro context: next 3 weeks
- FOMC rate decision (Oct 27-28)
- Employment Situation / NFP (Oct data)
Volatility regime: VIX normal (around the 38th percentile of the past year); VXN elevated; OVX elevated; GVZ elevated. OPEX dates often coincide with elevated volume.
FAQ
- What is the expected move for ES today?
- With the VIX in the normal range (2026-10-15), the implied one-standard-deviation daily move is about ±1.00% and weekly about ±2.5% (rounded).
- How is the expected move calculated?
- Implied volatility (annualized) divided by the square root of trading periods: √252 for a day, √52 for a week. It is a statistical band, not a forecast of direction.
- What does the COT report show?
- The CFTC’s weekly Commitments of Traders shows how large speculators (non-commercials) and hedgers (commercials) are positioned in each futures market, as of Tuesday.
- Why use ETF proxies instead of futures prices?
- Real-time and end-of-day CME futures prices require a paid licence to display. ETFs like SPY and GLD track the same underlying markets and are available from our data provider.